Does this mean I can still exit the station at London bridge? And not receive a penalty of any kind.
Absolutely! With a season ticket routed "Any Permitted" you can make as many journeys as you like between any pair of stations on any permitted route between the origin and the destination printed on your ticket.
I'm planning on a Brighton to city thameslink via any route £3104 annual ticket and get off at London bridge.
That's fine. But B0b has pointed out in post #8 above that a St Pancras - Brighton route Not Underground season ticket is the same price and gives additional availability City Thameslink - Farringdon - St Pancras. This is worth having even if you only use the additional availability once or twice during the validity of the season ticket. But, as B0b has pointed out, make sure that the origin (or destination) printed on the ticket is LONDON ST PANCRS, not LONDON TERMINALS.
With a season ticket routed "Not Underground" you can make as many journeys as you like between any pair of stations on any permitted route between the origin and the destination printed on your ticket, as long as you (normally) avoid travelling on London Underground.
I've had to add the word
normally because, during the frequent weekend and late night closures of the Thameslink route through central London, passengers with tickets routed "Not Underground" are instructed to, erm... , travel by London Underground!